VEA Options History — January 2009

In January 2009, VEA traded between $23.00 and $27.64. ATM implied volatility averaged 43.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.4% (HV 20d: 37.9%). Max pain ranged from $23.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.83.

Notable Days

2009-01-23: Highest Volume — 86 contracts
2009-01-22: Largest IV spike — 35.6% change
2009-01-22: Highest IV Rank — 36.4%
2009-01-22: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.18	$23.00	$27.64	$27.64	$23.62
Max Pain	$24.95	$23.00	$28.00	$28.00	$23.00
ATM IV	43.3%	32.2%	63.7%	32.2%	40.6%
Expected Move	12.5%	9.2%	18.3%	9.2%	11.7%
HV 20d	37.9%	29.7%	47.1%	35.6%	46.6%
HV 60d	64.9%	58.5%	75.6%	75.6%	59.3%
IV Rank	23.1%	15.8%	36.4%	15.8%	21.3%
IV Percentile	28.1%	14.3%	73.4%	14.3%	22.6%
Term Structure	0.4%	-17.8%	4.1%	4.0%	1.9%
VWIV	45.1%	32.9%	56.3%	48.5%	32.9%
Skew 25d	12.4%	3.1%	17.0%	9.6%	12.5%
Skew 10d	25.8%	-12.2%	37.6%	8.2%	8.4%
Call IV 25d	38.1%	27.8%	77.9%	30.4%	36.2%
Put IV 25d	50.4%	40.0%	81.0%	40.0%	48.7%
Bid-Ask Spread %	89.03	67.71	148.03	122.84	86.52
Gamma HHI	0.21	0.12	0.36	0.12	0.29
Net GEX	-5.6K	-9.9K	-1.1K	-7.8K	-2.1K
Net DEX	424.3K	341.5K	528.0K	341.5K	409.9K
Net VEX	-956	-1.4K	-620	-1.4K	-952
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.00	12.00	12.00	0.00
Total Volume	15.95	0	86	0	0
Total OI	509.3	459	627	483	627

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2009-01-02	$27.64	$28.00	32.2%	9.2%	35.6%	15.8%	0.0%	9.6%	4.0%	-7.8K	341.5K	-1.4K	0.00	122.84	N/A	N/A	0	0	190	293
2009-01-05	$27.23	$26.00	39.2%	11.3%	34.1%	20.4%	0.0%	10.7%	-0.3%	-7.9K	380.2K	-1.2K	0.00	73.66	N/A	N/A	0	1	190	293
2009-01-06	$27.47	$26.00	37.8%	11.1%	33.7%	19.5%	0.0%	11.8%	0.6%	-7.8K	351.9K	-1.3K	0.00	82.65	N/A	N/A	0	0	190	294
2009-01-07	$27.14	$26.00	39.0%	11.5%	31.3%	20.3%	0.0%	11.7%	0.4%	-8.5K	377.2K	-1.2K	12.00	67.71	N/A	N/A	5	60	190	294
2009-01-08	$27.46	$26.00	38.8%	11.4%	31.3%	20.2%	0.0%	12.2%	1.8%	-7.2K	346.7K	-1.3K	0.00	77.78	N/A	N/A	0	1	195	284
2009-01-09	$26.63	$26.00	37.5%	11.5%	32.2%	19.3%	0.0%	12.5%	3.4%	-8.0K	399.2K	-1.2K	0.00	80.84	N/A	N/A	0	0	195	285
2009-01-12	$25.98	$26.00	44.2%	12.4%	33.2%	23.7%	0.0%	11.5%	0.3%	-9.2K	443.6K	-972	0.00	81.99	N/A	N/A	0	0	195	285
2009-01-13	$25.51	$26.00	39.9%	12.2%	33.7%	20.9%	48.5%	12.0%	1.3%	-9.9K	471.1K	-855	0.00	79.49	N/A	N/A	0	5	195	285
2009-01-14	$24.39	$24.00	49.3%	13.9%	36.9%	27.0%	49.1%	11.2%	0.6%	-6.2K	511.6K	-724	0.00	85.22	N/A	N/A	0	30	195	290
2009-01-15	$24.67	$25.00	48.1%	13.8%	29.7%	26.3%	56.3%	13.7%	0.2%	-7.0K	528.0K	-881	0.00	86.37	N/A	N/A	0	44	195	320
2009-01-16	$24.86	$25.00	44.0%	12.6%	30.2%	23.5%	0.0%	14.6%	4.1%	-7.0K	509.2K	-1.1K	0.00	90.78	N/A	N/A	0	0	195	354
2009-01-20	$23.00	$25.00	52.0%	14.9%	38.4%	28.8%	42.2%	14.8%	0.7%	-3.9K	470.2K	-655	0.00	85.38	N/A	N/A	3	0	188	271
2009-01-21	$24.07	$25.00	47.0%	13.5%	42.9%	25.5%	43.8%	14.5%	1.9%	-3.8K	457.6K	-742	0.00	86.54	N/A	N/A	9	0	191	271
2009-01-22	$23.55	$25.00	63.7%	18.3%	43.2%	36.4%	0.0%	3.1%	-17.8%	-3.0K	439.8K	-829	0.00	148.03	N/A	N/A	0	0	200	271
2009-01-23	$23.33	$25.00	48.1%	13.8%	43.2%	26.2%	49.6%	14.6%	1.2%	-3.3K	470.9K	-620	0.79	95.11	N/A	N/A	48	38	200	271
2009-01-26	$23.87	$23.00	42.5%	12.2%	44.1%	22.6%	0.0%	14.1%	0.5%	-3.2K	420.7K	-764	0.00	95.80	N/A	N/A	2	0	248	309
2009-01-27	$24.22	$23.00	43.1%	12.4%	44.6%	22.9%	38.1%	14.3%	-0.3%	-2.8K	407.9K	-744	0.00	84.90	N/A	N/A	3	0	250	309
2009-01-28	$25.02	$23.00	37.0%	10.6%	46.4%	19.0%	32.9%	17.0%	2.8%	-1.8K	372.5K	-750	0.00	84.04	N/A	N/A	59	0	253	309
2009-01-29	$23.88	$23.00	42.7%	12.2%	47.1%	22.7%	0.0%	11.0%	0.3%	-1.1K	377.0K	-980	0.00	84.86	N/A	N/A	0	11	307	309
2009-01-30	$23.62	$23.00	40.6%	11.7%	46.6%	21.3%	0.0%	12.5%	1.9%	-2.1K	409.9K	-952	0.00	86.52	N/A	N/A	0	0	307	320